Stochastic Calculus Course
This course offers a practical introduction to stochastic calculus, covering essential concepts from Brownian motion to advanced pricing models and their applications in finance.

from 4 to 360h flexible workload
valid certificate in your country
What will I learn?
This Stochastic Calculus Course provides a focused, practical route from Brownian motion and Itô calculus to geometric Brownian motion, risk-neutral pricing, and the Black–Scholes formula. You will learn to derive key results, calculate option prices and Greeks, apply Monte Carlo methods, identify numerical challenges, and evaluate model limitations, including extensions to stochastic volatility and jump-diffusion.
Elevify advantages
Develop skills
- Price options using Black–Scholes and Monte Carlo in a quick, reliable workflow.
- Calculate Delta and key Greeks and explain their risk implications in actual trades.
- Use Itô calculus and solve linear SDEs for practical asset price modelling.
- Construct risk-neutral measures and price payoffs through discounted expectations.
- Identify GBM model limitations and compare stochastic volatility and jump models.
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